PROBABILITY AND STATISTICS FOR ENGINEERING

1. PROBABILITY AND STATISTICS FOR ENGINEERING Hossein Sameti Department of Computer Engineering Sharif University of Technology The Weak Law and the Strong Law of Large Numbers

2. Timeline… 1700 1800 1866 1909 1926 • Bernoulli, weak law of large numbers (WLLN) • Poisson, generalized Bernoulli’s theorem • Tchebychev, discovered his method • Markov, used Tchebychev’s reasoning to extend Bernoulli’s theorem to dependent random variables as well. • Borel, the strong law of large numbers that further generalizes Bernoulli’s theorem. • Kolmogorov, necessary and sufficient conditions for a set of mutually independent r.vs.

3. Weak Law of Large Numbers • s: i.i.d Bernoulli r.vs such that • : the number of “successes”in ntrials. • Then the weak law due to Bernoulli states that • i.e., the ratio “total number of successes to the total number of trials” tends to pin probabilityas n increases.

4. Strong Law of Large Numbers Borel and Cantelli: • this ratio k/ntends to p not only in probability, but with probability 1. • This is the strong law of large numbers (SLLN).

5. What is the difference? • SLLN states that if is a sequence of positive numbers converging to zero, then • From Borel-Cantelli lemma, when this formula is satisfied the events can occur only for a finite number of indices nin an infinite sequence, • or equivalently, the events occur infinitely often, i.e., the event k/n converges to palmost-surely.

6. Proof Since we have and hence where

7. Proof – continued • since • So we obtain can coincide with j, k or l, and the second variable takes (n-1) values 0

8. Proof – continued • Let so that the above integral reads • and hence • thus proving the strong law by exhibiting a sequence of positive numbers that converges to zero and satisfies

9. What is the difference? • The weak law states that for every n that is large enough, the ratio is likely to be near p with certain probability that tends to 1 as n increases. • It does not say that k/n is bound to stay near p if the number of trials is increased. • Suppose is satisfied for a given in a certain number of trials • If additional trials are conducted beyond the weak law does not guarantee that the new k/n is bound to stay near p for such trials. • There can be events for which for in some regular manner.

10. What is the difference? • The probability for such an event is the sum of a large number of very small probabilities • The weak law is unable to say anything specific about the convergence of that sum. • However, the strong law states that not only all such sums converge, but the total number of all such events: • where is in fact finite!

11. Bernstein’s inequality • This implies that the probability of the events as n increases becomes and remains small, • since with probability 1 only finite violations to the above inequality takes place as • It is possible to arrive at the same conclusion using a powerful bound known as Bernstein’s inequality that is based on the WLLN.

12. Bernstein’s inequality • Note that • and for any this gives • Thus

13. Bernstein’s inequality • Since for any real x, • We can obtain

14. Bernstein’s inequality • But is minimum for and hence • and hence we obtain Bernstein’s inequality • This is more powerful than Tchebyshev’s inequality as it states that the chances for the relative frequency k /nexceeding its probability p tends to zero exponentially fast as Similarly,

15. Chebyshev’s inequality gives the probability of k /n to lie between and for a specific n. • We can use Bernstein’s inequality to estimate the probability for k /n to lie between and for all large n. • Towards this, let • so that • To compute the probability of note that its complement is given by

16. We have • This gives • or, • Thus k /n is bound to stay near p for all large enough n, in probability, as stated by the SLLN.

17. Discussion Let Thus if we toss a fair coin 1,000 times, from the weak law • Thus on the average 39 out of 40 such events each with 1000 or more trials will satisfy the inequality • It is quite possible that one out of 40 such events may not satisfy it. • Continuing the experiment for 1000 more trials, with k successes out of n, for it is quite possible that for few such n the above inequality may be violated.

18. Discussion - continued • This is still consistent with the weak law • but according to the strong law such violations can occur only a finite number of times each with a finite probability in an infinite sequence of trials, • hence almost always the above inequality will be satisfied, i.e., the sample space of k /n coincides with that of p as

19. Example • 2n red cards and 2n black cards (all distinct) are shuffled together to form a single deck, and then split into half. • What is the probability that each half will contain n red and n black cards? • From a deck of 4n cards, 2n cards can be chosen in different ways. • Consider the unique draw consisting of 2n red cards and 2n black cards in each half. Solution

20. Example – continued • Among those 2n red cards, n of them can be chosen in different ways; • Similarly for each such draw there are ways of choosing n black cards. • Thus the total number of favorable draws containing n red and n black cards in each half are among a total of draws. • This gives the desired probability to be

21. Example – continued • For large n, using Stirgling’s formula we get • For a full deck of 52 cards, we have which gives • For a partial deck of 20 cards, we have and

22. An Experiment • 20 cards were given to a 5 year old child to split them into two equal halves • the outcome was declared a success if each half contained exactly 5 red and 5 black cards. • With adult supervision (in terms of shuffling) the experiment was repeated 100 times that very same afternoon. The results are tabulated below in next slides.

24. Results of an experiment of 100 trials This figure shows the convergence of k/n to p. 0.3437182